Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1041
Annualized Std Dev 0.2481
Annualized Sharpe (Rf=0%) 0.4195

Row

Daily Return Statistics

Close
Observations 3661.0000
NAs 1.0000
Minimum -0.1496
Quartile 1 -0.0069
Median 0.0012
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0086
Maximum 0.1044
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0156
Skewness -0.5598
Kurtosis 8.1069

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0104
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.5884
Historical VaR (95%) -0.0237
Historical ES (95%) -0.0371
Modified VaR (95%) -0.0250
Modified ES (95%) -0.0518
From Trough To Depth Length To Trough Recovery
2007-10-11 2009-03-09 2010-11-26 -0.5884 748 316 432
2018-09-04 2020-03-18 2020-12-22 -0.5444 581 387 194
2015-06-24 2016-02-11 2016-11-18 -0.2655 357 161 196
2011-07-08 2011-10-03 2012-02-03 -0.2550 146 61 85
2014-07-07 2014-10-13 2015-02-10 -0.1436 152 70 82

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA 0.2 0 0.4 0.5 -0.6 -0.4 -0.5 -1.1 -0.4 -0.7 -2.4
2007 0.9 0.1 -0.2 -0.1 0.3 -0.4 -0.6 1.3 1.7 -2.4 -0.8 -0.9 -1.2
2008 1.8 -3.7 -0.5 1.8 0.2 -0.3 -0.5 -0.9 -0.3 5.4 -8.5 2.1 -4
2009 -2 -3.3 2.2 0.3 3.9 1.7 0.1 -2.2 -3.3 -3.4 1.6 -0.9 -5.6
2010 1.1 1.9 -0.6 -3 -2.4 -0.8 -0.4 3 0.2 -0.9 1.8 -1.3 -1.6
2011 1.9 -1.5 0.2 0.8 -2.8 1.2 -0.8 -1.6 -2.9 -3.5 -0.3 -0.7 -9.7
2012 2 0.4 0.1 0.9 -3 4.2 -1.7 0.1 0.7 1.2 -0.5 2.2 6.6
2013 1.5 0.5 -1.8 -2.2 -0.9 1.4 0.9 -1.1 1.4 -1 0.4 0.2 -0.8
2014 -0.9 -0.2 1.3 -0.1 -0.4 1.7 -0.8 0.6 -1.5 2.1 -2.6 -0.6 -1.4
2015 -2 -0.5 -0.7 1.1 0.4 0 0.2 -2.5 -0.4 -0.6 1.1 -1.4 -5.2
2016 -0.1 1.9 0.5 -0.7 1 0.4 0.2 0.3 1.3 -1.1 -0.9 -0.5 2.4
2017 0 1.6 0.2 1.3 2 0 0.5 0.5 0.6 -1.2 -0.7 -0.1 4.7
2018 0.5 -0.9 1.7 0.6 1 0.4 0.4 1 -1.7 3.7 -0.4 0.4 7
2019 -0.2 0.5 0.8 -0.7 -1.4 0.4 -1.1 -0.7 -2.2 1.5 -0.3 0.3 -3.2
2020 -2.9 -2.5 -8.4 -4.2 1.4 -0.6 -0.3 1.6 1.3 -2.2 0.9 -0.5 -15.7
2021 2.8 3.4 1.4 NA NA NA NA NA NA NA NA NA 7.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-03-07  38.3 SPY    128. -0.0016  -0.002    0.0135   0.0088   0.0422    0.546   0.0324 GLD    55.0 -0.0051  -0.02  
2 2006-03-08  38.5 SPY    128.  0.0021  -0.0087   0.013    0.0131   0.0483    0.539   0.0292 GLD    54.0 -0.0178  -0.038 
3 2006-03-09  38.3 SPY    127. -0.0067  -0.0153   0.0151   0.0044   0.053     0.566   0.0305 GLD    54.2  0.005   -0.0441
4 2006-03-13  39   SPY    129.  0.0019   0.0051   0.0191   0.0225   0.0701    0.589   0.0218 GLD    54.3  0.0089  -0.0167
5 2006-03-15  39.2 SPY    131.  0.0045   0.0197   0.0344   0.0341   0.0884    0.554   0.0286 GLD    55.1  0.0046   0.0213
6 2006-03-17  39.6 SPY    131.  0.0008   0.0198   0.0229   0.0261   0.0987    0.502   0.111  GLD    55.1 -0.004    0.024 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart